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Firm visibility, liquidity, and valuation for thinly traded assets 交易稀少资产的公司知名度、流动性和估值
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100914
{"title":"Firm visibility, liquidity, and valuation for thinly traded assets","authors":"","doi":"10.1016/j.finmar.2024.100914","DOIUrl":"10.1016/j.finmar.2024.100914","url":null,"abstract":"<div><p><span>We employ a regression discontinuity design to study how a market division experiment affects stock liquidity and </span>firm valuation in an illiquid market. We document that an increase in firm visibility can substantially improve a firm's liquidity (measured by trading immediacy) and increase valuation by 28.4% for thinly traded assets. We also find some evidence that an improved information environment may contribute to enhanced liquidity and valuation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100914"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141134854","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Search friction, liquidity risk, and bond misallocation 搜索摩擦、流动性风险和债券错配
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100912
{"title":"Search friction, liquidity risk, and bond misallocation","authors":"","doi":"10.1016/j.finmar.2024.100912","DOIUrl":"10.1016/j.finmar.2024.100912","url":null,"abstract":"<div><p>Search friction is a key driver of changes in corporate bond yield spreads over time. In the cross-section, the liquidity risk stemming from search friction is significantly priced, and is strongly correlated with the misallocation of bond positions among different traders. I propose a novel measure of bond-specific misallocation, which is the negative covariance between traders’ private valuations and their inventory positions for each bond. I find that bonds with higher levels of misallocation are associated with lower absolute levels of liquidity risk from search friction. I develop a search-and-matching model to explain this correlation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100912"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Doctors managing mutual funds: Returns to specialization in asset management 管理共同基金的医生：资产管理专业化的回报
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100916
{"title":"Doctors managing mutual funds: Returns to specialization in asset management","authors":"","doi":"10.1016/j.finmar.2024.100916","DOIUrl":"10.1016/j.finmar.2024.100916","url":null,"abstract":"<div><p>We investigate the returns to specialized knowledge in asset management by comparing the performance of medical specialists versus generalists in managing healthcare sector mutual funds. Specialist alpha is 5% higher on an annualized basis. This result is robust to controlling for other observable characteristics and using different performance measures, subperiods, and variable definitions. The positive effect of a medical education on fund performance and specialists’ ability to time industry-specific events suggest that knowledge-based skills, rather than social connections, are key to specialist outperformance. Our paper provides new evidence on fund manager characteristics that provide a competitive advantage in generating alpha.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100916"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141144741","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data 石油信息的不确定性与总体市场回报：基于卫星数据的自然实验
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100913
{"title":"Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data","authors":"","doi":"10.1016/j.finmar.2024.100913","DOIUrl":"10.1016/j.finmar.2024.100913","url":null,"abstract":"<div><p>Satellites can “see” oil inventory in oil tanks, but they are sensitive to cloud cover. Cloud cover introduces a new uncertainty related to information quality. We measure such information uncertainty by assessing cloud cover over floating roof oil tanks. Using a cloud cover index, we demonstrate that higher information uncertainty leads to lower future returns (mean effect) and a stronger momentum anomaly (interaction effect). These two effects can be explained by investor overconfidence and arbitrage costs, respectively. An investor with a mean–variance preference obtains sizable gains in terms of certainty equivalent return, which accounts for the mean effect.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100913"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140785060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The role of options markets in corporate social responsibility 期权市场在企业社会责任中的作用
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100910
{"title":"The role of options markets in corporate social responsibility","authors":"","doi":"10.1016/j.finmar.2024.100910","DOIUrl":"10.1016/j.finmar.2024.100910","url":null,"abstract":"<div><p>We explore the relationship between options trading and corporate social responsibility<span><span> (CSR). We find that options trading can enhance CSR by (i) fostering shareholder activism, as indicated by increased long-term and socially responsible institutional ownership and CSR proposals and (ii) intensifying product market competition, which spurs </span>green innovation and product-related CSR initiatives. The positive effects are more pronounced in well-governed firms but diminished in firms with managerial entrenchment. Moreover, CSR improvements driven by options trading positively influence firm value, with notable enhancements in environmental performance. Our results underscore that options markets play a crucial role in promoting responsible corporate practices.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100910"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140623067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The volatility of stock investor returns 股票投资者收益的波动性
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100927
{"title":"The volatility of stock investor returns","authors":"","doi":"10.1016/j.finmar.2024.100927","DOIUrl":"10.1016/j.finmar.2024.100927","url":null,"abstract":"<div><p>The volatility of stock investor returns depends not only on the volatility of the stocks they hold but also on their time-varying capital exposure to these holdings. Using individual stocks, portfolios of stocks, and indexes across U.S. and international stock markets, we provide comprehensive evidence that the volatility of investor returns is consistently higher than the corresponding volatility of stock returns across nearly all specifications. The relative magnitude of the volatility differential ranges from 10% to 75%, increasing with investment horizon. This discrepancy is driven primarily by investors’ propensity to \"flee volatility,\" withdrawing equity capital following periods of high volatility.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100927"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Strategic trading as a response to short sellers 战略交易作为对卖空者的回应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-22 DOI: 10.1016/j.finmar.2024.100911
Marco Di Maggio , Francesco Franzoni , Massimo Massa , Roberto Tubaldi
{"title":"Strategic trading as a response to short sellers","authors":"Marco Di Maggio ,&nbsp;Francesco Franzoni ,&nbsp;Massimo Massa ,&nbsp;Roberto Tubaldi","doi":"10.1016/j.finmar.2024.100911","DOIUrl":"10.1016/j.finmar.2024.100911","url":null,"abstract":"<div><p>We examine whether the strategic response to short selling by other informed investors decelerates the incorporation of positive information. We find a sizeable reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. Consistent with strategic behavior, we find that investors with positive views slow down their trades when short sellers are also present. Furthermore, they break up their buy trades across multiple brokers, suggesting they wish to prevent a price impact. Thus, the strategic reaction to short selling appears to have implications for information impounding before public information releases.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100911"},"PeriodicalIF":2.8,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141059189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market 纽约证券交易所混合市场推出前后的算法交易和市场效率
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-09 DOI: 10.1016/j.finmar.2024.100909
Darya Yuferova
{"title":"Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market","authors":"Darya Yuferova","doi":"10.1016/j.finmar.2024.100909","DOIUrl":"10.1016/j.finmar.2024.100909","url":null,"abstract":"<div><p>I study the effect of algorithmic trading on market efficiency, taking into account past market and limit order flows alike. I find that an exogenous increase in algorithmic trading around the introduction of the NYSE Hybrid Market leads to a significant decrease in the predictive power of surprises in market order imbalance and limit order book imbalances, especially at the outer levels of the limit order book. However, the predictive power of past returns remains largely unchanged. This suggests that algorithmic trading improves market efficiency by facilitating the incorporation of information embedded in both market and limit order flows.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100909"},"PeriodicalIF":2.8,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000272/pdfft?md5=9a23e0c2025935fdfe0b5d03b5223c13&pid=1-s2.0-S1386418124000272-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140757229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fundamental characteristics, machine learning, and stock price crash risk 基本特征、机器学习和股价暴跌风险
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-05 DOI: 10.1016/j.finmar.2024.100908
Fuwei Jiang , Tian Ma , Feifei Zhu
{"title":"Fundamental characteristics, machine learning, and stock price crash risk","authors":"Fuwei Jiang ,&nbsp;Tian Ma ,&nbsp;Feifei Zhu","doi":"10.1016/j.finmar.2024.100908","DOIUrl":"10.1016/j.finmar.2024.100908","url":null,"abstract":"<div><p>We investigate the application of machine learning algorithms for predicting stock price crash risks by employing a set of firm-specific characteristics of the Chinese stock market. The results suggest that machine learning techniques are superior in capturing the nuances of stock price crash risk, particularly through profitability and value versus growth features. These techniques perform well within state-owned enterprises and during periods of low economic policy uncertainty, and predictive insights primarily originate from intra-industry dynamics. In addition, we offer corporate finance- and financial market-based interpretations of machine learning's predictability, as well as a comprehensive understanding of its key determinants.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100908"},"PeriodicalIF":2.8,"publicationDate":"2024-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140765385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leveraged trading and stock returns: Evidence from international stock markets 杠杆交易与股票回报：国际股票市场的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-28 DOI: 10.1016/j.finmar.2024.100907
Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang
{"title":"Leveraged trading and stock returns: Evidence from international stock markets","authors":"Zhuo Chen ,&nbsp;Pengfei Li ,&nbsp;Zhengwei Wang ,&nbsp;Bohui Zhang","doi":"10.1016/j.finmar.2024.100907","DOIUrl":"10.1016/j.finmar.2024.100907","url":null,"abstract":"<div><p>Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100907"},"PeriodicalIF":2.8,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140408037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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